The study argues that commercial banks pose unique corporate governance problems for managers and regulators as well as for claimants on the banks' cash flows, such as investors and depositors. The authors support the general principle that fiduciary duties should be owed exclusively to...

In this paper we extend the model of Easley and O'Hara (1992) to allow the arrival rates of informed and uninformed trades to be time-varying and forecastable. We specify a generalized autoregressive bivariate process for the arrival rates of informed and uninformed trades and estimate the model...

This book will broaden the public and policy discourse on the importance of well-being by examining psychological, social, environmental, economic, organizational, institutional and political determinants of individual well-being.

Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalance and trade intensity (the VPIN toxicity metric). VPIN is updated in volume time, making it...

type="main" <title type="main">ABSTRACT</title> <p>We investigate odd-lot trades in equity markets. Odd lots are increasingly used in algorithmic and high-frequency trading, but are not reported to the consolidated tape or in databases such as TAQ. In our sample, the median number of odd-lot trades is 24% but in some stocks...</p>